Discovery Projects - Grant ID: DP0663108

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0663108

Funding Status
Closed

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Funded Activity Summary

Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool. To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field. The work on multifractal modelling proposed here is innovative both in its theoretical aspects and its applied methodology, and will ensure that Australian research remains at the cutting edge of this highly competitive and fast moving field.

Funded Activity Details

Start Date: 01-01-2006

End Date: 31-12-2009

Funding Scheme: Discovery Projects

Funding Amount: $240,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Finance | Statistics | Statistical Theory

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Mathematical sciences |

Other Keywords

Finance | Finance and investment services | Mathematical sciences | Statistical Theory | Statistics | Stochastic Analysis And Modelling

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